because AVG has quarantined it, you could always create an exception so AVG will ignore the gta4 folder

1. double-click the avg icon, you need to be in the user interface
2. go to Tools -> Advanced Settings
3. on the left panel you should see Resident Shield, Exceptions is under that, click on it and add the GTA4 folder to it
you might need to put a xlive.dll file in the folder to make the game work, if AVG quarantined it